I know, for Libor or interest rate forward or swap, we us 30 days a month 360 days a year. But how about the other derivatives? Let’s say an example. A one year equity forward issued 270 days ago. The price today is F=S*(1+Rf)^T. Is T=(365-270)/365 or T=(360-270)/360 ? For the derivatives other than FRA or interest rate swap, how many days for a month and how many days for a year?
You must use actual/actual format for non IR derivatives.
You mean 365 days a year?
yea